Swaption Volatility Data


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Four user interfaces:

  • Data API.
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Swaption Implied Volatility Sample Data


FinPricing offers the following curves for various currencies via API:

  • OIS curves
  • RFR (risk free rate) curves
  • SOFR, €STR (ESTR, ESTER), SONIA, TONA, CORRA, AONIA, SARON curves
  • IBOR curves
  • Swap rate curves
  • Basis curves
  • Spot rate or zero rate curves
  • Forward rate curves
  • Discount curves
  • Inflation Swap rate (CPI, RPI, HICP) curves
  • Swaption volatility cube
  • FX volatility
  • Nordic electricity futures curve
  • VIX futures curve
  • S&P 500 futures curve

Swaption implied volatility cube is a four dimensional plot of the implied volatility as a function of strike, swaption expiry, and underlying swap tenor.

In the past, interest rate was always positive and hence the Black-Scholes was based on lognormal assumption. Consquently interest rate implied volatility is quoted via absolute strikes. After finanacial crises, interest rates in many regions turn negative. Consequently interest rate option pricing model evolves from lognormal assumption to normal assumption, resulting relative strike representation of swaption implied volatility.

The data volume of a swaption volatility surface is enormous. A partial quoted swpation implied volatility surface is shown below:

ValuationDateExpiryTenorStrikeVolatility
...............
2020-02-121M1Y0.010.528341118
2020-02-121M1Y0.020.208871904
2020-02-121M1Y0.030.315791907
2020-02-121M1Y0.040.392419764
2020-02-121M1Y0.050.447727552
2020-02-121M1Y0.070.524478308
2020-02-121M1Y0.10.59765607
2020-02-121M1Y0.120.631982811
...............

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